Epicurious must have been reading this thread, because they have a new widget with the "my recipe box" feature: a custom grocery list. I just saw this and figured it out: previously, I'd only used the folder feature to organize my recipe box into categories, but it never occurred to me to do it for a menu (duh.) Now if they'd just offer recipe scaling...
So, you make a folder containing all the recipes for your menu, open it, then click the "grocery list" button at the top of the folder. If you click the "combined list by grocery aisle" tab, you'll get a grocery list with all the same ingredients combined into one amount (though it isn't smart enough to know things like lemon zest and lemon juice come from the same product, so be a little careful) Pantry staples are italicized (although this somehow didn't work when I tried it for our Christmas menu, unless they don't consider flour to be a staple.)
You can add your own recipes to your recipe book and import them from other sources, too, and then make one big grocery list - you could even plan menus and shopping for a whole week, something I've been thinking about trying...